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1、,Corporate Finance,第九讲 Credit Risk 信用风险,Figure,23.1,global,face,value,of,defaulting,debt,23-1,yields,of,corporate,debt,Example Determine value of 5%1-year bond with a par value of$1,000,given 20%chance company will go into bankruptcy and only pay$500 Bond Value Probability,500*.20,1,050*.80,=,840.00
2、,=100.00,940.00=expected CF,23-1,yields,of,corporate,debt,Example,continued,9401.051050895,Value,$895,YTM,1 17.3%,23-1,yields,of,corporate,debt,Example,continued Determine value and yield to maturity(YTM)if investors require an additional 3%market risk premium,9401.08,Value,$870.00,1050,YTM,1 20.7%,
3、870.00,Figure,23.2,end-year,yield,spreads,23-2,Option,to Default,Example,Circular File borrowed$50 per share before market value of assets dropped to$30,bond prices to$25,and stock prices to$5,Figure 23.4 value of circulars common stock,Figure 23.5 betas of,debt and equity,given leverage,and,maturit
4、y,of,Debt(Beta_Asset=1),Unlimited Liability(Beta of debt=0),Limited Liability,Table,23.1,key,to bond,ratings,Median Ratios for u.s.nonfinancial firms by bond rating,2008-2009,%,Figure 23.7 default rates ofbonds,1981-2010,corporate,Predict the Default Probability(Firm Charateristics)Figure 23.8a fina
5、ncial ratios of 544 failing and nonfailing firms,Figure 23.8b financial ratios of 544failing and nonfailing firms,Figure 23.8c financial ratios 544 failing of and nonfailing firms,23-4,predicting,probability,of,default,(Review,of,Accounting,Studies,2005),Use information from income statemet for defa
6、ult predicting,23-4,predicting,probability,of,default,Credit Analysis Only if expected savings exceed worthwhile cost,Do not undertake full credit analysis unless justifiedby size of order Undertake full credit analysis only for doubtful orders,Figure,23.10,Six,Flags,market,value,Market Based Risk M
7、odels,Moodys KMV Estimates Probability of Six Flags Default,Value at Risk,Value at Risk(VaR):VaR measures the worst expected loss over a given horizon under normal market conditions at a given level of confidence.Qunatile(分位数),Attempts to measure risk(potential loss)Limited use to risk managers Fact
8、ors Asset value Daily volatility Days Confidence interval,VaR,Value,at risk(assuming normal distribution),Standard Measurements,10 days,10,day,10,95%confidence interval,9 5%1.6 4,VaR,VaR(10 1.64)asset value,Value,at,risk,Example Calculate VaR on$10 million portfolio of IBM bonds over 10-day period g
9、iven 2%daily volatility and 99%confidence interval,99%().0632 2.33 14.74%,10,.02,10,6.32%,VaR,.1473 10,000,000,$1,473,621,Value at Risk,Calculate VaR of$5 million AT&T stock given dailyvolatility of 1%Correlation coefficient:0.7(Recall that:IBM has volatility of 2%),Calculate VaR of combined,portfolio(1/3:AT&T),VaR,$1,473,621$368,405,$1,746,241,VaR,IBM,Portfolio,VaR,AT&T,DiversificationBenefit$95,785,$1,842,026,VaR AT&T IBM,Table 23.3 global average one-yeartransition rates,1981-2010,
